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Question 169.4. The Quoted Price of a 180-day Treasury bill is 9.00. What is the True Yield (a.k.a., effective return) to the investor under an actual/365 basis (ACT/365) with continuous compounding? | Financial Risk Manager Part 1 Quiz - LeetQuiz

Explanation:

First find the cash price per $100 face value:

Y = 100 - 9.00\cdot\frac{180}{360} = 95.50

The continuously compounded true yield on an ACT/365 basis is:

\frac{365}{180}\ln\left(1 + \frac{4.5}{95.50}\right)

This equals approximately:

9.3367\%

So the correct answer is 9.337%.

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Question 169.4. The Quoted Price of a 180-day Treasury bill is 9.00. What is the True Yield (a.k.a., effective return) to the investor under an actual/365 basis (ACT/365) with continuous compounding?

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